LAMPIRAN
Lampiran 1. Populasi Indeks LQ-45 Periode 2102-2014
No Emiten
1 PT Adaro Energy Tbk. 2 PT Adhi Karya (Persero) Tbk. 3 PT AKR Corporindo Tbk. 4 PT Alam Sutera Reality Tbk. 5 PT Aneka Tambang (Persero) Tbk. 6 PT Astra Agro Lestari Tbk. 7 PT Astra International Tbk. 8 PT Bank Central Asia Tbk. 9 PT Bank Danamon Tbk. 10 PT Bank Mandiri (Persero) Tbk.
11 PT Bank Negara Indonesia (Persero) Tbk. 12 PT Bank Rakyat Indonesia (Persero) Tbk. 13 PT Bank Tabungan Negara (Persero) Tbk. 14 PT Bukit Asam (Persero) Tbk.
15 PT Bumi Serpong Damai Tbk. 16 PT Charoen Pokphand Indonesia Tbk. 17 PT Ciputra Development Tbk. 18 PT Express Transindo Utama Tbk. 19 PT Global Mediacom Tbk. 20 PT Gudang Garam Tbk. 22 PT Harum Energy Tbk.
22 PT Indo Tambangraya Megah Tbk. 23 PT Indocement Tunggal Prakarsa Tbk. 24 PT Indofood CBP Sukses Makmur Tbk. 25 PT Indofood Sukses Makmur Tbk. 26 PT Kalbe Farma Tbk.
27 PT Lippo Karawaci Tbk.
28 PT Matahari Department Store Tbk. 29 PT Media Nusantara Citra Tbk. 30 PT Pakuwon Jati Tbk.
31 PT Perusahaan Gas Negara (Persero) Tbk. 32 PT PP (Persero) Tbk.
33 PT PP London Sumatra Indonesia Tbk. 34 PT Surya Citra Media Tbk.
35 PT Semen Indonesia (Persero) Tbk. 36 PT Summarecon Agung Tbk. 37 PT Surya Citra Media Tbk.
38 PT Telekomunikasi Indonesia (Persero) Tbk. 39 PT Tower Bersama Infrastructure Tbk. 40 PT Unilever Indonesia Tbk.
Lanjutan Lampiran 1. Populasi Indeks LQ-45 Periode 2102-2014
No Emiten
41 PT United Tractor Tbk. 42 PT Vale Indonesia Tbk.
43 PT Waskita Karya (Persero) Tbk. 44 PT Wijaya Karya (Persero) Tbk. 45 PT XL Axiata Tbk.
Sumber: Hasil Penelitian, 2016 (Data Diolah)
Lampiran 2. Statistik Deskriptif dari DPR, ROE, TA, DER, IOS, dan QR
DPR ROE TA DER IOS QR
Sumber: Hasil Penelitian, 2016 (Data Diolah)
Lampiran 3. Uji Normalitas dengan Uji Jarque-Bera
Sumber: Hasil Penelitian, 2016 (Data Diolah)
Lampiran 4. Uji Multikolinearitas dengan Matriks Korelasi
DER IOS QR ROE TA Sumber: Hasil Penelitian, 2016 (Data Diolah)
0
Median -0.011739
Maximum 0.263080
Minimum -0.444062
Std. Dev. 0.143689 Skewness -0.277573 Kurtosis 3.226070
Lampiran 5. Uji Autokorelasi dengan Uji Durbin-Watson
Dependent Variable: DPR Method: Least Squares Date: 04/01/16 Time: 15:30 Sample: 1 54
Included observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
DER -0.047312 0.024341 -1.943670 0.0578 IOS -0.045162 0.014344 -3.148479 0.0028 QR -0.048046 0.044782 -1.072883 0.2887 ROE 2.069304 0.527700 3.921367 0.0003 TA -0.002148 0.052785 -0.040685 0.9677 C 0.336302 0.938761 0.358240 0.7217
R-squared 0.397268 Mean dependent var 0.465509 Adjusted R-squared 0.334484 S.D. dependent var 0.289117 S.E. of regression 0.235860 Akaike info criterion 0.053278 Sum squared resid 2.670226 Schwarz criterion 0.274277 Log likelihood 4.561483 Hannan-Quinn criter. 0.138509 F-statistic 6.327489 Durbin-Watson stat 1.608460 Prob(F-statistic) 0.000138
Sumber: Hasil Penelitian, 2016 (Data Diolah)
Lampiran 6. Uji Heteroskedastisitas dengan Uji White
Heteroskedasticity Test: White
F-statistic 0.633942 Prob. F(20,33) 0.8574 Obs*R-squared 14.98850 Prob. Chi-Square(20) 0.7771 Scaled explained SS 106.7120 Prob. Chi-Square(20) 0.0000
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 04/01/16 Time: 15:31 Sample: 1 54
Included observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
IOS 0.403815 2.214932 0.182315 0.8565 IOS^2 -0.002282 0.009516 -0.239820 0.8120 IOS*QR -0.001157 0.061468 -0.018827 0.9851 IOS*ROE 0.050142 0.388585 0.129038 0.8981 IOS*TA -0.026116 0.129691 -0.201370 0.8416 QR 1.828726 3.021281 0.605282 0.5491 QR^2 -0.046981 0.056514 -0.831330 0.4118 QR*ROE 0.089136 1.627666 0.054763 0.9567 QR*TA -0.105289 0.180559 -0.583129 0.5638 ROE 7.267287 34.78038 0.208948 0.8358 ROE^2 -0.503736 6.083939 -0.082798 0.9345 ROE*TA -0.335208 2.041993 -0.164157 0.8706 TA 1.274997 3.297118 0.386700 0.7015 TA^2 -0.029553 0.091166 -0.324171 0.7479
R-squared 0.277565 Mean dependent var 0.049449 Adjusted R-squared -0.160275 S.D. dependent var 0.211889 S.E. of regression 0.228238 Akaike info criterion 0.168449 Sum squared resid 1.719061 Schwarz criterion 0.941943 Log likelihood 16.45187 Hannan-Quinn criter. 0.466755 F-statistic 0.633942 Durbin-Watson stat 2.721353 Prob(F-statistic) 0.857403
Sumber: Hasil Penelitian, 2016 (Data Diolah)
Lampiran 7.
Common Effect Model
(CEM)
Dependent Variable: DPR? Method: Pooled Least Squares Date: 04/01/16 Time: 16:04 Sample: 2012 2014
Included observations: 3 Cross-sections included: 18
Total pool (balanced) observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
ROE? 2.069304 0.527700 3.921367 0.0003 Adjusted R-squared 0.334484 S.D. dependent var 0.289117 S.E. of regression 0.235860 Akaike info criterion 0.053278 Sum squared resid 2.670226 Schwarz criterion 0.274277 Log likelihood 4.561483 Hannan-Quinn criter. 0.138509 F-statistic 6.327489 Durbin-Watson stat 1.953150 Prob(F-statistic) 0.000138
Lmpiran 8.
Fixed Effect Model
(FEM)
Dependent Variable: DPR? Method: Pooled Least Squares Date: 04/01/16 Time: 16:05 Sample: 2012 2014
Included observations: 3 Cross-sections included: 18
Total pool (balanced) observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
ROE? 0.882492 0.941232 0.937592 0.3557 Fixed Effects (Cross)
_1--C -0.183779
Cross-section fixed (dummy variables)
R-squared 0.700545 Mean dependent var 0.465509 Adjusted R-squared 0.488028 S.D. dependent var 0.289117 S.E. of regression 0.206870 Akaike info criterion -0.016599 Sum squared resid 1.326649 Schwarz criterion 0.830561 Log likelihood 23.44817 Hannan-Quinn criter. 0.310118 F-statistic 3.296423 Durbin-Watson stat 4.041330 Prob(F-statistic) 0.001208
Lampiran 9. Uji Chow
Redundant Fixed Effects Tests Pool: DATAPANEL_KHAIDIR Test cross-section fixed effects
Effects Test Statistic d.f. Prob.
Cross-section F 1.846798 (17,31) 0.0673 Cross-section Chi-square 37.773372 17 0.0026
Cross-section fixed effects test equation: Dependent Variable: DPR?
Method: Panel Least Squares Date: 04/01/16 Time: 16:06 Sample: 2012 2014
Included observations: 3 Cross-sections included: 18
Total pool (balanced) observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
ROE? 2.069304 0.527700 3.921367 0.0003 TA? -0.002148 0.052785 -0.040685 0.9677 DER? -0.047312 0.024341 -1.943670 0.0578 IOS? -0.045162 0.014344 -3.148479 0.0028 QR? -0.048046 0.044782 -1.072883 0.2887 C 0.336302 0.938761 0.358240 0.7217
R-squared 0.397268 Mean dependent var 0.465509 Adjusted R-squared 0.334484 S.D. dependent var 0.289117 S.E. of regression 0.235860 Akaike info criterion 0.053278 Sum squared resid 2.670226 Schwarz criterion 0.274277 Log likelihood 4.561483 Hannan-Quinn criter. 0.138509 F-statistic 6.327489 Durbin-Watson stat 1.953150 Prob(F-statistic) 0.000138
Lampiran 10.
Random Effect Model
(REM)
Dependent Variable: DPR?
Method: Pooled EGLS (Cross-section random effects) Date: 04/01/16 Time: 16:07
Sample: 2012 2014 Included observations: 3 Cross-sections included: 18
Total pool (balanced) observations: 54
Swamy and Arora estimator of component variances
Variable Coefficient Std. Error t-Statistic Prob.
ROE? 1.748714 0.585707 2.985646 0.0044 Random Effects (Cross)
_1--C -0.024027
Cross-section random 0.132065 0.2895
Idiosyncratic random 0.206870 0.7105
Weighted Statistics
Prob(F-statistic) 0.006242
Unweighted Statistics
R-squared 0.392111 Mean dependent var 0.465509 Sum squared resid 2.693075 Durbin-Watson stat 1.929734
Sumber: Hasil Penelitian, 2016 (Data Diolah)
Lampiran 11. Uji Hausman
Correlated Random Effects - Hausman Test Pool: DATAPANEL_KHAIDIR
Test cross-section random effects
Test Summary
Chi-Sq.
Statistic Chi-Sq. d.f. Prob.
Cross-section random 3.834201 5 0.5735
Cross-section random effects test comparisons:
Variable Fixed Random Var(Diff.) Prob.
ROE? 0.882492 1.748714 0.542864 0.2397 TA? 0.070352 0.001951 0.064719 0.7880 DER? 0.003540 -0.046843 0.016752 0.6971 IOS? -0.047510 -0.037115 0.001035 0.7466 QR? 0.011400 -0.040259 0.006318 0.5157
Cross-section random effects test equation: Dependent Variable: DPR?
Method: Panel Least Squares Date: 04/01/16 Time: 16:07 Sample: 2012 2014
Included observations: 3 Cross-sections included: 18
Total pool (balanced) observations: 54
Variable Coefficient Std. Error t-Statistic Prob.
C -0.792858 4.867638 -0.162884 0.8717 ROE? 0.882492 0.941232 0.937592 0.3557 TA? 0.070352 0.262698 0.267807 0.7906 DER? 0.003540 0.133022 0.026614 0.9789 IOS? -0.047510 0.035998 -1.319767 0.1966 QR? 0.011400 0.095455 0.119429 0.9057
Effects Specification
R-squared 0.700545 Mean dependent var 0.465509 Adjusted R-squared 0.488028 S.D. dependent var 0.289117 S.E. of regression 0.206870 Akaike info criterion -0.016599 Sum squared resid 1.326649 Schwarz criterion 0.830561 Log likelihood 23.44817 Hannan-Quinn criter. 0.310118 F-statistic 3.296423 Durbin-Watson stat 4.041330 Prob(F-statistic) 0.001208
